4 papers
Forecasting observables with particle filters: Any filter will do!
Patrick Leung, Catherine S. Forbes, Gael M. Martin +1
We investigate the impact of filter choice on forecast accuracy in state space models. The filters are used both to estimate the posterior distribution of the parameters, via a par…
Updating Variational Bayes: Fast sequential posterior inference
Nathaniel Tomasetti, Catherine S. Forbes, Anastasios Panagiotelis
Variational Bayesian (VB) methods produce posterior inference in a time frame considerably smaller than traditional Markov Chain Monte Carlo approaches. Although the VB posterior i…
The determinants of bank loan recovery rates in good times and bad - new evidence
Hong Wang, Catherine S. Forbes, Jean-Pierre Fenech +1
We find that factors explaining bank loan recovery rates vary depending on the state of the economic cycle. Our modeling approach incorporates a two-state Markov switching mechanis…
A Robust Bayesian Exponentially Tilted Empirical Likelihood Method
Zhichao Liu, Catherine S. Forbes, Heather M. Anderson
This paper proposes a new Bayesian approach for analysing moment condition models in the situation where the data may be contaminated by outliers. The approach builds upon the foun…